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Essays on dynamic portfolio management [PDF]
Over the last three decades, there has been an increasing interest in the problem of the investor's optimal consumption and portfolio rules. Despite the substantial amount of related literature, there remain many areas for further investigation.
Liao, Chien-Hui
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Applied Economic Perspectives and Policy, EarlyView.ABSTRACT Increased frequency of extreme weather events, particularly droughts, threatens grassland farming by destabilizing yields and farms' economic viability. We examine, theoretically and through numerical simulations, how sown plant diversity (natural insurance) influences the attractiveness of indemnity and drought index insurance (formal ...
Nicolas Alou +3 more
wiley +1 more source
Portfolio delegation under short-selling constraints [PDF]
In this paper we study delegated portfolio management when the manager's ability to short-sell is restricted. Contrary to previous results, we show that under moral hazard, linear performance-adjusted contracts do provide portfolio managers with ...
Juan-Pedro Gómez, Tridib Sharma
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The Performance of International Portfolios
International Finance Discussion Papers, 2004 We evaluate the performance of U.S. investors’ international portfolios over a 25-year period. Portfolio returns are formed by first estimating monthly bilateral holdings in 44 countries using high-quality but infrequent benchmark surveys that enable us to eliminate the geographical bias in reported capital flows data.
Charles P. Thomas +2 more
openaire +1 more source
Low Participation and Risk Reduction Potential of Supplemental Crop Insurance in the United States
Applied Economic Perspectives and Policy, EarlyView.ABSTRACT Federally subsidized crop insurance is a cornerstone of U.S. farm risk management, yet policies with the greatest share of participation only trigger indemnities after losses exceed 15%. Supplemental insurance was introduced to cover part of this deductible, but participation remains largely unchanged.
Francis Tsiboe +2 more
wiley +1 more source
Improved Portfolio Choice using Second-Order Stochastic Dominance [PDF]
We examine the use of second-order stochastic dominance as both a way to measure performance and also as a technique for constructing portfolios. Using in-sample data, we construct portfolios such that their second-order stochastic dominance over a ...
James E. Hodder +2 more
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Revista de Métodos Cuantitativos para la Economía y la Empresa, 2018 In a passive investing strategy through indexation, the portfolio performance will depend largely on the ability to choose the best index. In this paper, we study the performance of four of the main stock indices in Mexico with the intention of selecting
Samaniego, Ángel +1 more
doaj
Alternative measures and decomposition of mutual funds portfolio performance [PDF]
Bankarstvo, 2018 In addition to the well-established and most commonly used portfolio performance measures, both in theory and practice - the Sharpe ratio, the Treynor ratio and the Jensen's or alpha index, the financial literature also includes other alternative ...
Leković Miljan
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Applied Economic Perspectives and Policy, EarlyView.ABSTRACT The USDA's Conservation Reserve Program (CRP) delivers environmental benefits to society by enrolling cropland and grasslands to reestablish or safeguard long‐term vegetative cover. In recent years, the CRP has dramatically increased grassland enrollment while cropland enrollment has been in steady decline. This paper uses descriptive analysis,
Wesley Zebrowski +2 more
wiley +1 more source
Analysts' dividend forecasts, portfolio selection, and market risk premia [PDF]
The most relevant practical impediment to an application of the Markowitz portfolio selection approach is the problem of estimating return moments, in particular return expectations.
Gürtler, Marc +2 more
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